东方因子周报：Trend风格持续领衔，单季净利同比增速因子表现出色，建议继续关注成长趋势资产-20250713

Quantitative Models and Construction Methods Model Name: MFE (Maximized Factor Exposure) Portfolio - Model Construction Idea: The MFE portfolio aims to maximize the exposure to a single factor while controlling for various constraints such as industry exposure, style exposure, and stock weight limits[75][76]. - Model Construction Process: - The optimization model is formulated as follows: $\begin{array}{ll} \text{max} & f^{T}w \\ \text{s.t.} & s_{l} \leq X(w-w_{b}) \leq s_{h} \\ & h_{l} \leq H(w-w_{b}) \leq h_{h} \\ & w_{l} \leq w-w_{b} \leq w_{h} \\ & b_{l} \leq B_{b}w \leq b_{h} \\ & 0 \leq w \leq l \\ & 1^{T}w = 1 \\ & \Sigma|w-w_{0}| \leq to_{h} \end{array}$ - Explanation: - $f$: Factor values - $w$: Stock weight vector to be solved - Constraints include style exposure, industry exposure, stock weight deviation, component stock weight limits, and turnover rate[75][76][77]. - The model is solved using linear programming to efficiently determine the optimal weights[76]. - Model Evaluation: The MFE portfolio is evaluated based on its historical performance relative to the benchmark index, considering constraints such as industry and style exposures[78][79]. Quantitative Factors and Construction Methods Factor Name: Trend - Factor Construction Idea: The Trend factor captures the momentum of stock prices over different time horizons[12][17]. - Factor Construction Process: - Trend_120: $\text{EWMA}(\text{halflife}=20) / \text{EWMA}(\text{halflife}=120)$ - Trend_240: $\text{EWMA}(\text{halflife}=20) / \text{EWMA}(\text{halflife}=240)$ - Factor Evaluation: The Trend factor showed a positive return of 2.15% this week, indicating a strong market preference for trend-following strategies[12]. Factor Name: Single Quarter Net Profit YoY Growth - Factor Construction Idea: This factor measures the year-over-year growth in net profit for a single quarter[2][8]. - Factor Construction Process: - Calculation: $\text{Single Quarter Net Profit YoY Growth} = \frac{\text{Current Quarter Net Profit} - \text{Previous Year Same Quarter Net Profit}}{\text{Previous Year Same Quarter Net Profit}}$ - Factor Evaluation: This factor performed the best among the CSI All Share Index components this week[2][8]. Factor Backtesting Results Trend Factor - Recent Week: 2.15%[12] - Recent Month: 5.62%[14] - Year-to-Date: -1.74%[14] - Last Year: 26.90%[14] - Historical Annualized: 14.22%[14] Single Quarter Net Profit YoY Growth Factor - Recent Week: 1.69%[57] - Recent Month: 3.19%[57] - Year-to-Date: 8.08%[57] - Last Year: 3.65%[57] - Historical Annualized: 3.20%[57]